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BEGIN:VEVENT
UID:14f4eacd2f1fe0f34ca931b49de2c68d
CATEGORIES:Seminars
CREATED:20231219T090348
SUMMARY:Giorgia Simion - WU Vienna University of Economics and Business
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p><a href="images/Simion.pdf"><em><strong>Pricing and Constructing Interna
 tional Government Bond Portfolios </strong></em></a></p><p>Abstract:</p><p 
 style="text-align: justify;">In developed government bond markets, even sim
 ple diversification strategies are shown to offer significant benefits due 
 to imperfectly correlated term-structure dynamics. We derive a stochastic d
 iscount factor to price this asset class by projecting returns onto the unc
 onditional mean-variance efficient portfolio. The resulting market price of
  risk varies substantially over time, peaking during crises and periods of 
 inflation rate dispersion. International bond returns exhibit a strong fact
 or structure, but common sources of return variation show little connection
  to priced risks. Hedging unpriced risks from naive or factor-based strateg
 ies enhances Sharpe ratios significantly, even when portfolio weight limits
  are imposed.</p>
DTSTAMP:20260522T095228Z
DTSTART:20240606T143000Z
DTEND:20240606T160000Z
SEQUENCE:0
TRANSP:OPAQUE
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